Stability results for perturbations of Lévy term structure models
dc.contributor.author
Tappe, Stefan
dc.contributor.author
Rüdiger, Barbara
dc.date.accessioned
2017-06-09T18:18:31Z
dc.date.available
2017-06-09T18:18:31Z
dc.date.issued
2013-01
dc.identifier.uri
http://hdl.handle.net/20.500.11850/43835
dc.description.abstract
In this note, we study term structure models driven by Lévy processes and provide stability results for them. In reality, we can never be sure of the accuracy of a proposed model. With this motivation, we present sufficient conditions which ensure that the model has the tendency to recover from perturbations. Our results include stability conditions for the forward rates, yield curves and option prices.`
dc.language.iso
en
dc.subject
Lévy term structure model
dc.subject
Stability result
dc.subject
Rate of convergence
dc.subject
Delta hedging
dc.title
Stability results for perturbations of Lévy term structure models
dc.type
Working Paper
ethz.size
14 p.
ethz.publication.status
published
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03845 - Teichmann, Josef / Teichmann, Josef
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03845 - Teichmann, Josef / Teichmann, Josef
ethz.date.deposited
2017-06-09T18:18:36Z
ethz.source
ECIT
ethz.identifier.importid
imp59364ed0e93e342375
ethz.ecitpid
pub:72477
ethz.eth
yes
ethz.availability
Metadata only
ethz.rosetta.installDate
2017-07-14T14:17:00Z
ethz.rosetta.lastUpdated
2018-10-01T15:14:30Z
ethz.rosetta.versionExported
true
ethz.COinS
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Working Paper [5728]